系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2012年
8期
1754~1760
,共null页
吴刘仓 张忠占 徐登可
吳劉倉 張忠佔 徐登可
오류창 장충점 서등가
异方差模型 联合均值与方差模型 惩罚极大似然估计 变量选择
異方差模型 聯閤均值與方差模型 懲罰極大似然估計 變量選擇
이방차모형 연합균치여방차모형 징벌겁대사연고계 변량선택
heteroscedastic regression models; joint mean and variance models; penalized maximum like- lihood estimator： variable selection
在许多应用方面，特别在经济领域和工业产品的质量改进试验中，非常有必要对方差建模．推广经典的正态回归模型，对联合均值与方差模型提出一种同时对均值模型和方差模型的变量选择方法．提出的惩罚极大似然估计具有相合性和oracle性质．随机模拟和实例研究结果表明该模型和方法是有用和有效的．
在許多應用方麵，特彆在經濟領域和工業產品的質量改進試驗中，非常有必要對方差建模．推廣經典的正態迴歸模型，對聯閤均值與方差模型提齣一種同時對均值模型和方差模型的變量選擇方法．提齣的懲罰極大似然估計具有相閤性和oracle性質．隨機模擬和實例研究結果錶明該模型和方法是有用和有效的．
재허다응용방면，특별재경제영역화공업산품적질량개진시험중，비상유필요대방차건모．추엄경전적정태회귀모형，대연합균치여방차모형제출일충동시대균치모형화방차모형적변량선택방법．제출적징벌겁대사연고계구유상합성화oracle성질．수궤모의화실례연구결과표명해모형화방법시유용화유효적．
In many applications, particularly in the econometric area and industrial quality improvement experiments, there is a great need to model the variance. A unified procedure was proposed to simultane- ously select significant variables in joint mean and variance models which provide a useful extension of the classical normal regression models. It is further shown that the presented penalized estimator enjoys the consistency and the oracle property. Simulation and practice show that this model and method are useful and effective.
